Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0059 |
| Annualized Std Dev | 0.3623 |
| Annualized Sharpe (Rf=0%) | -0.0162 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4799.0000 |
| NAs | 1.0000 |
| Minimum | -0.2657 |
| Quartile 1 | -0.0070 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0084 |
| Maximum | 0.3978 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0005 |
| Stdev | 0.0228 |
| Skewness | 0.6837 |
| Kurtosis | 42.6349 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0163 |
| Gain Deviation | 0.0183 |
| Loss Deviation | 0.0198 |
| Downside Deviation (MAR=210%) | 0.0202 |
| Downside Deviation (Rf=0%) | 0.0163 |
| Downside Deviation (0%) | 0.0163 |
| Maximum Drawdown | 0.9410 |
| Historical VaR (95%) | -0.0285 |
| Historical ES (95%) | -0.0552 |
| Modified VaR (95%) | -0.0130 |
| Modified ES (95%) | -0.0130 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-07 | 2009-03-09 | NA | -0.9410 | 3555 | 525 | NA |
| 2004-04-02 | 2004-05-10 | 2004-12-08 | -0.2570 | 173 | 26 | 147 |
| 2002-07-10 | 2002-10-11 | 2003-06-30 | -0.1897 | 246 | 67 | 179 |
| 2005-07-29 | 2005-10-13 | 2006-03-16 | -0.1608 | 159 | 54 | 105 |
| 2005-01-04 | 2005-03-23 | 2005-06-08 | -0.1382 | 108 | 55 | 53 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | 0 | -0.1 | -0.4 | 0.3 | 1 | 1.5 | 0.4 | -0.4 | 0.1 | 3 | 0.7 | 6.1 |
| 2003 | 0 | 1.5 | 1.6 | 0.6 | 0.4 | -0.1 | -0.5 | 0 | 0.7 | 1.2 | 2.2 | 0 | 7.8 |
| 2004 | 0.7 | 0.8 | 1.1 | 1.6 | 0.8 | 1 | 1.2 | 0.6 | 0.6 | 0.7 | 1.4 | 1 | 12.2 |
| 2005 | 2.2 | 1.4 | 1.1 | 0.8 | 1.4 | 0.8 | 0.3 | 1.8 | 1.1 | -0.9 | 1.1 | 0.8 | 12.6 |
| 2006 | -0.3 | 1 | -0.1 | 0 | 2 | 1 | -1.2 | 0 | 0.2 | 0.5 | 0.3 | 1.5 | 5 |
| 2007 | 1.1 | 0.4 | -0.1 | -1.5 | 0.6 | -0.6 | -1.4 | 4.1 | 1.2 | -0.9 | 0.5 | -1.3 | 1.9 |
| 2008 | 3.9 | -0.5 | 5.3 | 2.5 | 1.3 | 0.4 | -0.2 | 1.4 | 4.5 | 7.2 | -14.1 | 10.1 | 21.7 |
| 2009 | -1.1 | -1.2 | 3.5 | -2.8 | 4.8 | 3 | 1.3 | -4.4 | -4.1 | -2.5 | 1.8 | -1.9 | -4 |
| 2010 | 2.3 | 0.5 | -0.3 | -2.6 | -2.8 | -0.3 | 1 | 4.2 | -0.8 | 1.1 | 1 | 0.8 | 4.1 |
| 2011 | 2.4 | -1.4 | -0.1 | 2 | -3.8 | 2.1 | 0.5 | -1.8 | -2.2 | -2.6 | -1.6 | -0.5 | -6.9 |
| 2012 | 1 | 1.4 | 2 | 0.7 | -2.4 | 1.8 | 0.7 | 0 | -1.8 | 0.8 | 0.2 | 1.3 | 5.7 |
| 2013 | 0.7 | 0.2 | -1.1 | 0.9 | -3 | 1.2 | -1.5 | 1.5 | 2.4 | 0.4 | 0.1 | 1.1 | 2.7 |
| 2014 | 1.2 | 1.2 | 0.3 | 0.4 | 0.4 | 1.1 | -0.1 | 0.7 | 0.3 | 1 | -0.5 | -1.1 | 5 |
| 2015 | -1.6 | 0.6 | 0.2 | 0.3 | 0.7 | 1.9 | 1.2 | -1 | -1 | -0.3 | 1.7 | 1.8 | 4.5 |
| 2016 | -0.4 | 2.3 | 1.4 | 0.2 | 0.9 | -1.1 | -1.2 | -0.1 | 0.5 | -2.2 | -1.6 | 2 | 0.8 |
| 2017 | -1.2 | 0 | 0.2 | -0.3 | 1 | 0 | 0 | 1.1 | 0.4 | 0.4 | 0.4 | 1 | 3 |
| 2018 | -1.5 | 0.4 | 0.5 | 0.4 | 1.2 | 0.4 | 0.2 | 0.2 | 0.7 | 1.2 | 0.8 | 1.4 | 6 |
| 2019 | 0.7 | -0.3 | 0 | 0.6 | 1.1 | 0.7 | 0.6 | 0.7 | -2.2 | -1.2 | 1.1 | 1.1 | 2.8 |
| 2020 | -0.6 | -1.2 | -10.2 | -2.6 | 3.7 | 1.6 | -0.8 | 0.3 | 2.1 | -0.8 | -0.3 | 1.6 | -7.6 |
| 2021 | 2.1 | 0.7 | -0.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-02-26 15.0 SPY 111. -0.0021 0.0226 -0.0205 -0.0386 -0.134 -0.128 NA <NA> NA NA NA
2 2002-02-27 15 SPY 112. 0.0039 0.00960 -0.0194 -0.0369 -0.111 -0.124 NA <NA> NA NA NA
3 2002-02-28 15.0 SPY 111. -0.0045 0.0263 0.0079 -0.0371 -0.116 -0.113 NA <NA> NA NA NA
4 2002-03-01 15.0 SPY 114. 0.0233 0.0374 0.0167 0.0035 -0.0898 -0.0832 NA <NA> NA NA NA
5 2002-03-04 15 SPY 116. 0.0177 0.0386 0.0227 0.0077 -0.093 -0.0632 NA <NA> NA NA NA
6 2002-03-05 15 SPY 115. -0.0032 0.0374 0.0242 0.0117 -0.0875 -0.0688 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
